Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Jean-Marie Dufour, Lynda Khalaf and Marie-Claude Beaulieu
| Year of publication: |
2010
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|---|---|
| Authors: | Dufour, Jean-Marie ; Khalaf, Lynda ; Beaulieu, Marie-Claude |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 25.2010, 2, p. 263-285
|
| Subject: | Theorie | Theory | CAPM | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008667604